Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0423 |
| Annualized Std Dev | 0.4725 |
| Annualized Sharpe (Rf=0%) | -0.0895 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5257.0000 |
| NAs | 1.0000 |
| Minimum | -0.3238 |
| Quartile 1 | -0.0136 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0137 |
| Maximum | 0.3083 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0009 |
| Stdev | 0.0298 |
| Skewness | 0.2084 |
| Kurtosis | 9.5935 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0206 |
| Gain Deviation | 0.0233 |
| Loss Deviation | 0.0215 |
| Downside Deviation (MAR=210%) | 0.0250 |
| Downside Deviation (Rf=0%) | 0.0205 |
| Downside Deviation (0%) | 0.0205 |
| Maximum Drawdown | 0.9592 |
| Historical VaR (95%) | -0.0450 |
| Historical ES (95%) | -0.0673 |
| Modified VaR (95%) | -0.0411 |
| Modified ES (95%) | -0.0411 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-02-20 | 2016-01-21 | NA | -0.9592 | 4008 | 2803 | NA |
| 2000-03-15 | 2002-10-11 | 2004-01-28 | -0.5610 | 944 | 627 | 317 |
| 1999-08-03 | 1999-08-11 | 2000-02-14 | -0.1954 | 132 | 7 | 125 |
| 1999-02-08 | 1999-03-08 | 1999-04-20 | -0.1791 | 47 | 18 | 29 |
| 1999-05-17 | 1999-05-18 | 1999-06-16 | -0.1351 | 22 | 2 | 20 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 4 | 3.4 | 1.7 | -1.4 | -2.1 | 0.6 | 1.9 | -5.1 | 0 | -1.4 | 0.6 | 3.5 | 5.5 |
| 2000 | 2.6 | -3.8 | 4.3 | 3.6 | 4 | 0.5 | 6.1 | 3.8 | 0 | 7 | 3.4 | 2.1 | 38.7 |
| 2001 | -1.7 | -0.6 | 0.7 | -3.4 | 0 | 1.9 | -0.5 | 2.3 | -0.5 | -0.4 | 1.7 | 0.9 | 0.3 |
| 2002 | -0.4 | 1.5 | -0.9 | -1.3 | 0 | 0 | -3.8 | -0.5 | -3.9 | 1 | -7.2 | 2 | -13.1 |
| 2003 | 0.1 | 2.2 | 0.7 | -0.9 | 4.8 | -2.1 | 2.7 | -3.8 | 0.6 | -0.3 | 2.6 | 0.8 | 7.3 |
| 2004 | -0.4 | 6.3 | 2.7 | 0.8 | 0.8 | 0.1 | 0.7 | 3.2 | 2.2 | 3.5 | 0 | 1.6 | 23.6 |
| 2005 | 3.8 | 3.9 | -1.3 | -0.5 | 2.6 | 0 | -0.5 | 0 | 0 | 0 | 8.9 | -2.2 | 15.2 |
| 2006 | 0.8 | 0 | 10.1 | -1.9 | 3.6 | 0 | -0.9 | -0.9 | 1 | 0.1 | -0.5 | 0 | 11.3 |
| 2007 | -1.6 | 0.5 | 0 | -2.7 | -1.4 | 0 | -0.6 | 0.8 | -0.3 | -4.4 | -0.3 | 4.2 | -5.8 |
| 2008 | 3.5 | -0.8 | 3.5 | 2.6 | 0.9 | -2.1 | -1.4 | 1.7 | -3.8 | 2.2 | -5.5 | 12.3 | 12.7 |
| 2009 | 5.9 | 5.1 | 1.8 | -0.3 | -3.1 | -2 | 0.4 | -4.6 | 0 | 1.5 | -5.7 | -0.8 | -2.5 |
| 2010 | 0.4 | -1.5 | -5.1 | -0.4 | -3.8 | -4.1 | 7.5 | -3.9 | 0 | -0.5 | -3.3 | 2.1 | -12.5 |
| 2011 | 0.5 | 0.4 | -2.8 | 4.5 | 0.9 | -4.3 | 2.4 | -2.7 | 1.9 | -4.8 | -8 | 4.6 | -7.9 |
| 2012 | 0.7 | -2.3 | 2.6 | -1.4 | -4.4 | 3.4 | 0 | 0 | -0.6 | 0.7 | 4.3 | 1.4 | 4.2 |
| 2013 | -2.6 | -2.3 | -4.8 | -4.5 | 1.3 | -2 | -3.4 | 0.7 | 3.5 | -0.7 | 1.4 | 2.8 | -10.5 |
| 2014 | -2.1 | 2.8 | -3.5 | -0.6 | 1.4 | 1.3 | -4.8 | 1.2 | -4.7 | 0.7 | -3.8 | 4 | -8.3 |
| 2015 | 1.6 | 0 | -2.6 | 1.7 | -1.6 | 0 | 0.9 | -1.7 | -1.9 | 0 | -4 | -5.5 | -12.6 |
| 2016 | 0 | 2.1 | -2 | -1.9 | 0 | -4.5 | -5.3 | 0 | 2.4 | 1.4 | -1.6 | 2.5 | -6.9 |
| 2017 | -3.5 | -1.4 | 3.2 | 2.3 | 0.8 | 0.1 | 0.4 | 0.7 | -0.7 | 4.4 | 1.7 | 2.3 | 10.4 |
| 2018 | -4.5 | -1.5 | -5.2 | 5.5 | 1.5 | 1.5 | -0.8 | 1.2 | 1.7 | -1.8 | 6.1 | 6.4 | 9.6 |
| 2019 | 2.5 | 0 | 0.6 | 2 | 2.6 | 2.1 | -0.6 | 1.9 | -3 | 4.8 | 4 | 1.2 | 19.4 |
| 2020 | 0 | 0 | -7.4 | -3.5 | 0 | -0.8 | -2.3 | 0 | -0.4 | 0.7 | -1.3 | 0.6 | -13.8 |
| 2021 | 0.5 | -3.5 | 1.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 6.75 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 6.88 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 6.88 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 6.94 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 6.75 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 6.88 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
